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Update of a Lumber/Gold Risk-on/Risk-off Strategy

May 17, 2024 • Posted in Strategic Allocation

A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on lumber is greater than the return on gold over the past 13 weeks (L-G Strategy). To test the latter strategy we use the following exchanged-traded fund (ETF) proxies:

Using weekly dividend-adjusted prices for SPY, TLT, CUT and GLD during early February 2008 (limited by inception of CUT) through April 2024 and roughly matched start and stop performance for monthly SACEVS-SACEMS 50-50 , we find that:


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